Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1264 |
| Annualized Std Dev | 0.2334 |
| Annualized Sharpe (Rf=0%) | 0.5417 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3553.0000 |
| NAs | 1.0000 |
| Minimum | -0.1262 |
| Quartile 1 | -0.0058 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0077 |
| Maximum | 0.1053 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0002 |
| Stdev | 0.0147 |
| Skewness | -0.3065 |
| Kurtosis | 7.1016 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.5897 |
| Historical VaR (95%) | -0.0238 |
| Historical ES (95%) | -0.0356 |
| Modified VaR (95%) | -0.0227 |
| Modified ES (95%) | -0.0419 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2008-11-21 | 2011-01-14 | -0.5897 | 856 | 329 | 527 |
| 2020-02-20 | 2020-03-23 | 2020-08-04 | -0.3405 | 116 | 23 | 93 |
| 2011-02-18 | 2011-10-03 | 2013-02-14 | -0.2723 | 500 | 157 | 343 |
| 2018-08-30 | 2018-12-24 | 2019-03-21 | -0.2284 | 139 | 80 | 59 |
| 2015-12-02 | 2016-02-09 | 2016-06-02 | -0.1728 | 126 | 47 | 79 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.3 | 0.8 | -0.5 |
| 2007 | 0.4 | 0.4 | -0.5 | -1.2 | 0.4 | -0.7 | -0.3 | 0.9 | 0.8 | -2.3 | -0.9 | -1.2 | -4.2 |
| 2008 | 3.8 | -2.6 | 3.5 | 2.7 | 0.9 | -0.9 | -0.8 | -2 | -1.1 | 3.3 | 5.2 | 2 | 14.4 |
| 2009 | -3.1 | -2.7 | -0.3 | 0 | 3.8 | 0.9 | -0.1 | -2 | -3 | -2.4 | 1.9 | -0.8 | -7.7 |
| 2010 | 2.3 | 2.2 | -0.1 | -3.3 | -2.6 | 0 | -0.9 | 3.2 | -0.3 | -0.2 | 2.6 | -0.7 | 2.1 |
| 2011 | 2.4 | -1.8 | -0.5 | -0.1 | -2 | 1.5 | -1 | -1.4 | -3.3 | -3.3 | 0.4 | -0.3 | -9.2 |
| 2012 | 1.6 | 0.3 | 0 | 0.5 | -3 | 4.4 | -0.4 | 0.6 | -0.2 | 2.5 | -0.1 | 1.4 | 7.6 |
| 2013 | 1.1 | 0.1 | -1 | -0.8 | -0.9 | 0.4 | 1.6 | -0.7 | 0.8 | 0.4 | 0 | 0.4 | 1.4 |
| 2014 | -0.8 | -0.3 | 1.3 | 0 | -0.1 | 1.1 | -0.3 | 0.5 | -1.9 | 2.2 | -1.1 | -1.1 | -0.6 |
| 2015 | -1.7 | -0.1 | -0.6 | 1.5 | 0.2 | 0.6 | -0.3 | -2.9 | -0.2 | 0.1 | 1 | -1.3 | -3.7 |
| 2016 | 0.5 | 2.4 | 0.6 | -1.7 | 0 | -0.1 | -0.1 | 0.4 | 0.7 | -0.7 | -3 | -0.9 | -1.9 |
| 2017 | 0.1 | 1.4 | -0.2 | 0.5 | 0.5 | -0.3 | 0.5 | 0.1 | 0.6 | -0.3 | -0.6 | -0.7 | 1.5 |
| 2018 | -0.1 | -1.3 | 1.6 | 1.1 | 1.8 | 0.2 | -0.2 | 0.2 | -0.2 | 1.9 | 0.9 | 0.9 | 7 |
| 2019 | 1.3 | 0.8 | 2.1 | -1.1 | -1.6 | 1.9 | -0.9 | 0.3 | -1.3 | 1.4 | -0.3 | 0.3 | 2.8 |
| 2020 | -2.5 | -0.1 | -4.8 | -4 | 0.4 | -0.3 | 0.5 | 0.6 | 1 | -0.9 | 1 | 0.9 | -8.3 |
| 2021 | 2.3 | 2.6 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.3 |
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Price Chart
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Rolling Performance Chart
Row
Snail Trail Chart
